Optimal trade execution under jump diffusion process: a mean-VaR approach

DOI10.1155/2018/4721596zbMath1422.91734OpenAlexW2895126147WikidataQ129178690 ScholiaQ129178690MaRDI QIDQ1727117

Tianmin Zhou, Handong Li, Can Jia

Publication date: 20 February 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/4721596

Mathematics Subject Classification ID

Stochastic programming (90C15) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of difference equations (39A60)

Cites Work

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• Optimal trade execution: a mean quadratic variation approach
• A Hamilton-Jacobi-Bellman approach to optimal trade execution
• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
• OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
• Optimal Liquidity Trading*
• Optimal execution with uncertain order fills in Almgren–Chriss framework
• Empirical properties of asset returns: stylized facts and statistical issues

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